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| Colino, Evelyn V.; Irwin, Scott H.. |
| The purpose of this paper is to provide a comprehensive evaluation of the accuracy of outlook forecasts relative to futures prices in hog and cattle markets. Published forecasts from four prominent livestock outlook programs are available for analysis. Most of the series begin in the mid- to late-1970s and end in 2006. Root mean squared error (RMSE) comparisons indicate, with one exception, no meaningful differences in forecast accuracy between outlook forecasts and futures prices. The null hypothesis that futures prices encompass outlook forecasts is rejected in 9 of 11 cases for hogs and 7 of 8 cases for cattle, clearly indicating that outlook forecasts provide incremental information not contained in futures prices. The magnitude of decline in RMSE from... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Cattle; Encompassing; Forecast; Futures price; Hogs; Outlook; RMSE. |
| Ano: 2007 |
URL: http://purl.umn.edu/37577 |
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| Du, Wen. |
| China's 10-year old wheat futures market, the China Zhengzhou Commodity Exchange (CZCE) has been in stable development since establishment and is expected to be integrated to the world market after China joined WTO. This paper compares the price behavior of CZCE with that of the Chicago Board of trade (CBOT) in the US using ARCH/GARCH based univariate and multivariate time series models for the period between 1999 and 2003, around when China joined the World Trade Organization (WTO). Results show both markets can be modeled by an ARCH (1) or a GARCH (1,1), and the models have better fit when conditional error variance is t distributed. The price series in CZCE and CBOT are interrelated but not cointegrated. The existing interrelations between the two... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Integration; Wheat; Futures price; GARCH; China; Demand and Price Analysis; International Relations/Trade; G15; Q14. |
| Ano: 2004 |
URL: http://purl.umn.edu/20115 |
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